UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21539
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First Trust/Four Corners Senior Floating Rate Income Fund II
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios, L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
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Date of fiscal year end: May 31
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Date of reporting period: August 31, 2009
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b)
AUGUST 31, 2009 (Unaudited)
Principal Ratings (c) Stated
Value Description Moody's S&P Rate Maturity (d) Value
--------------- ------------------------------------------------ ---------------- ----------- ------------ ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (e) - 130.8%
Aerospace & Defense - 5.8%
$ 495,000 BE Aerospace, Inc., Term Loan, Tranche B Ba1 BBB- 5.75% 07/28/14 $ 492,834
1,582,109 DAE Aviation Holdings, Inc., Term Loan B1 B3 B 4.24% 07/31/14 1,313,150
1,551,738 DAE Aviation Holdings, Inc., Term Loan B2 B3 B 4.09%-4.24% 07/31/14 1,287,943
1,464,118 GenCorp, Inc., Synthetic Letter of Credit Ba3 B 2.52% 04/30/13 1,200,577
801,544 GenCorp, Inc., Term Loan Ba3 B 2.63% 04/30/13 657,266
821,887 ILC Industries, Inc., Term Loan, First Lien NR(f) NR(f) 2.26% 02/24/12 769,835
1,925,000 L-1 Identity Solutions Operating Company,
Term Loan B-2 Ba3 BB+ 7.25% 08/05/13 1,929,813
3,499,342 Robertson Aviation, LLC, Term Loan NR(f) NR(f) 3.01%-5.00% 04/19/13 2,449,540
982,456 Safenet, Inc., Term Loan, First Lien B1 B+ 2.77% 04/12/14 905,497
4,301,059 Spirit Aerosystems, Inc., Term Loan B Ba3 BBB- 2.26% 09/30/13 4,150,522
2,066,667 Vought Aircraft Industries, Inc., Synthetic
Letter of Credit, Tranche B Ba2 B- 7.50% 12/22/10 2,056,333
1,094,681 Vought Aircraft Industries, Inc., Term Loan B Ba2 B- 7.50% 12/22/11 1,083,734
1,000,000 Wesco Aircraft Hardware Corp., Term Loan,
First Lien B1 BB- 2.52% 09/29/13 915,000
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19,212,044
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Agricultural Products - 1.4%
504,242 Dole Food Company, Inc., Prefunded Letter of
Credit Ba2 B+ 8.00% 04/12/13 507,472
881,460 Dole Food Company, Inc., Term Loan B Ba2 B+ 8.00% 04/12/13 887,107
3,284,400 Dole Food Company, Inc., Term Loan C Ba2 B+ 8.00% 04/12/13 3,305,440
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4,700,019
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Airlines - 0.1%
490,000 Delta Air Lines, Inc., Synthetic Revolving
Credit Facility Ba2 BB- 2.26%-2.43% 04/30/12 437,529
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Aluminum - 1.7%
4,402,436 Novelis Corp., Term Loan Ba3 BB- 2.27%-2.60% 07/06/14 3,993,009
2,001,068 Novelis, Inc., Canadian Term Loan Ba3 BB- 2.27% 07/06/14 1,814,969
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5,807,978
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Apparel Retail - 0.4%
1,216,071 Hanesbrands, Inc., Term Loan B, First Lien Ba2 BB+ 5.02%-5.25% 09/05/13 1,216,506
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Application Software - 0.8%
2,796,517 Verint Systems, Inc., Term Loan, First Lien NR B+ 3.52% 05/25/14 2,523,857
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Asset Management & Custody Banks - 2.2%
1,373,214 Grosvenor Capital Management Holdings, LLP,
Term Loan NR(f) NR(f) 2.28% 12/05/13 1,222,161
3,863,697 LPL Holdings, Inc., Term Loan D Ba3 B+ 2.01%-2.35% 06/28/13 3,557,820
2,704,791 Nuveen Investments, Inc., Term Loan B3 B 3.49%-3.50% 11/13/14 2,195,389
449,216 Oxford US Acquisition, LLC, Term Loan,
Tranche B2 NR(f) NR(f) 2.50% 05/12/14 265,037
----------------
7,240,407
----------------
Auto Parts & Equipment - 0.3%
917,283 TRW Automotive, Inc., Term Loan B B1 B+ 6.31% 02/09/14 912,238
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Automobile Manufacturers - 0.7%
2,860,305 Ford Motor Company, Term Loan, First Lien Caa1 CCC+ 3.28%-3.51% 12/15/13 2,478,454
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Automotive Retail - 0.8%
2,835,657 KAR Holdings, Inc., Term Loan B Ba3 B 2.52% 10/18/13 2,660,790
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Broadcasting - 4.1%
822,221 Cumulus Media, Inc., Term Loan, First Lien Caa1 B 4.27% 06/07/14 591,999
5,162,260 Gray Television, Inc., Term Loan B Caa1 CCC 3.78% 12/31/14 3,723,280
4,353,750 LBI Media, Inc., Term Loan B B1 B- 1.76% 03/31/12 3,385,041
3,500,000 Raycom Media, Inc., Term Loan, Tranche B NR NR 1.81% 06/25/14 2,450,000
2,456,250 Sirius Satellite Radio, Inc., Term Loan,
First Lien B3 B+ 2.56% 12/20/12 2,241,328
984,810 Young Broadcasting, Inc., Incremental Term
Loan (i) (j) WR D 4.75% 11/03/12 480,095
1,984,576 Young Broadcasting, Inc., Term Loan (i) (j) WR D 4.75% 11/03/12 967,481
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13,839,224
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See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (Continued)
AUGUST 31, 2009 (Unaudited)
Principal Ratings (c) Stated
Value Description Moody's S&P Rate Maturity (d) Value
--------------- ------------------------------------------------ ---------------- ----------- ------------ ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued)
Building Products - 0.1%
$ 1,000,000 South Edge, LLC, Term Loan C (l) NR NR 5.50% 10/31/09 $ 275,000
----------------
Cable and Satellite - 4.3%
5,315,787 Charter Communications Operating, LLC, Term
Loan (i) WR D 6.25% 03/06/14 4,933,715
5,706,341 CSC Holdings, Inc., Incremental Term Loan Baa3 BBB- 2.02%-2.07% 03/29/13 5,515,789
1,296,576 UPC Distribution Holdings B.V., Term Loan N Ba3 B+ 2.03% 12/31/14 1,222,023
703,424 UPC Distribution Holdings B.V., Term Loan T Ba3 B+ 3.78% 12/31/16 677,632
2,000,000 UPC Distribution Holdings B.V., Term Loan T
(Add-on) Ba3 B+ 3.76% 12/31/16 1,965,000
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14,314,159
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Casinos & Gaming - 6.8%
573,235 Cannery Casino Resorts, LLC, Delayed Draw
Term Loan B1 B+ 2.53% 05/18/13 511,612
693,360 Cannery Casino Resorts, LLC, Term Loan,
First Lien B1 B+ 2.52% 05/18/13 618,823
3,050,812 CCM Merger, Inc., Term Loan B B3 BB- 8.50% 07/13/12 2,847,424
1,982,356 Golden Nugget, Inc., Delayed Draw Term Loan Caa3 CC 2.27%-2.35% 06/30/14 1,351,307
3,482,182 Golden Nugget, Inc., Term Loan, First Lien Caa3 CC 2.27% 06/14/14 2,373,688
554,400 Las Vegas Sands, LLC, Delayed Draw Term Loan 1 B3 B- 2.09% 05/23/14 431,816
3,287,186 Penn National Gaming, Inc., Term Loan B Ba2 BB+ 2.01%-2.21% 10/03/12 3,194,734
810,526 Seminole Tribe of Florida, Delayed Draw Term
Loan B1 Baa3 BBB 2.13% 03/05/14 774,053
2,919,879 Seminole Tribe of Florida, Delayed Draw Term
Loan B2 Baa3 BBB 2.13% 03/05/14 2,788,484
2,408,907 Seminole Tribe of Florida, Delayed Draw Term
Loan B3 Baa3 BBB 2.13% 03/05/14 2,300,506
5,985,000 VML US Finance, LLC, Term Loan B3 B- 2.85% 05/25/13 5,474,138
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22,666,585
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Commodity Chemicals - 0.7%
1,436,328 Ineos Group Limited, Term Loan B2 Caa1 B- 9.50% 12/14/13 1,091,610
1,436,328 Ineos Group Limited, Term Loan C2 Caa1 B- 10.00% 12/14/14 1,091,610
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2,183,220
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Computer Hardware - 1.5%
5,521,379 Activant Solutions Holdings, Inc., Term Loan B1 B+ 2.31%-2.63% 05/02/13 5,024,455
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Data Processing & Outsourced Services - 1.7%
6,860,000 Harland Clarke Holdings Corp., Term Loan B B1 B+ 2.76%-3.10% 06/30/14 5,603,763
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Diversified Chemicals - 4.8%
1,055,448 Brenntag Holding GmbH & Company KG,
Acquisition Term Loan B1 B+ 2.27%-2.99% 01/17/14 1,002,675
3,000,000 Brenntag Holding GmbH & Company KG, Term
Loan, Second Lien Caa1 CCC+ 4.27% 06/18/15 2,580,000
4,322,712 Brenntag Holding GmbH & Company KG, Term
Loan B2 B1 B+ 2.27% 01/17/14 4,106,576
4,179,454 Huntsman International, LLC, Term Loan Ba2 B+ 2.01% 04/19/14 3,893,860
12,091 LyondellBasell Industries AF S.C.A., Dutch
Revolving Credit Facility (i) WR C 3.77% 12/20/13 5,683
28,087 LyondellBasell Industries AF S.C.A., Dutch
Term Loan A (i) WR C 3.77% 12/20/13 13,201
34,713 LyondellBasell Industries AF S.C.A., German
Term Loan B1 (i) WR C 4.02% 12/20/14 16,315
34,713 LyondellBasell Industries AF S.C.A., German
Term Loan B2 (i) WR C 4.02% 12/20/14 16,315
34,713 LyondellBasell Industries AF S.C.A., German
Term Loan B3 (i) WR C 4.02% 12/20/14 16,315
268,821 LyondellBasell Industries AF S.C.A., Initial
New Money Loan (DIP) (g) (i) NR BB- 1.50%(h)-13.00% 12/15/09 278,398
150,630 LyondellBasell Industries AF S.C.A., Term
Loan B1 (i) WR C 7.00% 12/20/14 72,302
150,630 LyondellBasell Industries AF S.C.A., Term
Loan B2 (i) WR C 7.00% 12/20/14 72,302
150,630 LyondellBasell Industries AF S.C.A., Term
Loan B3 (i) WR C 7.00% 12/20/14 72,302
45,343 LyondellBasell Industries AF S.C.A., U.S.
Primary Revolving Credit Facility (i) WR C 3.77% 12/20/13 21,764
86,391 LyondellBasell Industries AF S.C.A., U.S.
Term Loan A (i) WR C 3.77% 12/20/13 41,467
3,954,356 Rockwood Specialties Group, Inc., Term Loan H Ba2 BB- 6.00% 05/15/14 3,980,719
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16,190,194
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Education Services - 0.8%
1,901,818 Education Management, LLC, Term Loan C B1 B+ 2.38% 06/01/13 1,817,821
See Notes to Quarterly Portfolio of Investments Page 2
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (Continued)
AUGUST 31, 2009 (Unaudited)
Principal Ratings (c) Stated
Value Description Moody's S&P Rate Maturity (d) Value
--------------- ------------------------------------------------ ---------------- ----------- ------------ ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued)
Education Services - (Continued)
$ 1,034,200 PRO-QUEST-CSA, LLC, Term Loan, First Lien Ba3 BB- 2.77% 02/09/14 $ 977,319
----------------
2,795,140
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Electric Utilities - 7.7%
914,704 Astoria Generating Company Acquisitions,
LLC, Term Loan B B1 BB- 2.03%-2.10% 02/23/13 868,969
3,372,053 Calpine Corporation, First Priority Term Loan B2 B+ 3.48% 03/29/14 3,094,384
2,305,929 Covanta Energy Corporation, Synthetic Letter
of Credit Ba1 BB 2.10% 02/09/14 2,206,006
4,578,530 Covanta Energy Corporation, Term Loan B Ba1 BB 1.81% 02/09/14 4,380,128
4,336,255 Mirant North America, LLC, Term Loan Ba2 BB 2.01% 01/03/13 4,142,672
7,950,729 NRG Energy, Inc., Synthetic Letter of Credit Baa3 BB+ 2.35% 02/01/13 7,498,078
651,322 NRG Energy, Inc., Term Loan B Baa3 BB+ 2.01%-2.35% 02/01/13 614,241
1,881,609 Riverside Energy Center, LLC, Term Loan Ba3 BB- 4.74% 06/24/11 1,834,568
169,917 Rocky Mountain Energy Center, LLC, Synthetic
Letter of Credit Ba3 BB- 4.84% 06/24/11 165,669
843,703 Rocky Mountain Energy Center, LLC, Term Loan Ba3 BB- 4.74% 06/24/11 822,610
----------------
25,627,325
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Environmental & Facilities Services - 1.4%
220,126 EnergySolutions, LLC, Synthetic Letter of
Credit Ba2 NR(f) 2.52% 06/07/13 209,120
1,481,947 EnergySolutions, LLC, Term Loan (Duratek) Ba2 NR(f) 2.53% 06/07/13 1,396,735
3,088,837 EnergySolutions, LLC, Term Loan
(EnergySolutions) Ba2 NR(f) 2.53% 06/07/13 2,911,229
----------------
4,517,084
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Food Distributors - 1.6%
847,826 B&G Foods, Inc., Term Loan C Ba2 BB- 2.66% 02/23/13 828,044
844,167 Birds Eye Foods, Inc., Term Loan, First Lien NR(f) NR(f) 2.04%-2.35% 03/22/13 801,958
3,934,747 Dean Foods Company, Term Loan B B1 BB 1.65%-1.98% 04/02/14 3,756,279
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5,386,281
----------------
Food Retail - 2.1%
7,313,990 SUPERVALU, Inc., Term Loan B Ba3 BB+ 1.51% 06/02/12 7,046,788
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Forest Products - 2.2%
3,167,738 Georgia-Pacific Corporation, Term Loan B1 Ba2 BB+ 2.34%-2.65% 12/20/12 3,060,259
1,619,690 Georgia-Pacific Corporation, Term Loan B2 Ba2 BB+ 2.34%-2.46% 12/20/12 1,564,735
2,851,047 Georgia-Pacific Corporation, Term Loan C Ba2 BB+ 3.59%-3.90% 12/23/14 2,834,083
----------------
7,459,077
----------------
Gas Utilities - 0.2%
613,005 Atlas Pipeline Partners, L.P., Term Loan B1 B 6.75% 07/27/14 596,147
----------------
Health Care Equipment - 0.9%
3,250,000 Biomet, Inc., Dollar Term Loan B1 BB- 3.26%-3.61% 03/25/15 3,118,307
----------------
Health Care Facilities - 5.4%
755,461 HCA, Inc., Term Loan A Ba3 BB 2.10% 11/17/12 705,307
3,000,000 HCA, Inc., Term Loan B Ba3 BB 2.85% 11/18/13 2,823,333
3,498,263 Health Management Associates, Inc., Term Loan B B1 BB- 2.35% 02/28/14 3,278,531
3,401,633 Lifepoint Hospitals, Inc., Term Loan B Ba1 BB 2.02% 04/15/12 3,296,183
4,772,335 Select Medical Corporation, Term Loan B-1 Ba2 B+ 4.16%-6.00% 08/22/14 4,485,994
271,667 Sun Healthcare Group, Inc., Synthetic Letter
of Credit Ba2 B+ 2.60% 04/19/14 246,538
2,413,411 Sun Healthcare Group, Inc., Term Loan, First
Lien Ba2 B+ 2.50%-3.31% 04/19/14 2,190,171
154,867 United Surgical Partners International,
Inc., Delayed Draw Term Loan Ba3 B 2.27% 04/19/14 143,252
819,839 United Surgical Partners International,
Inc., Term Loan B Ba3 B 2.27%-2.51% 04/19/14 758,351
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17,927,660
----------------
Health Care Services - 6.3%
291,383 CHS/Community Health Systems, Inc., Delayed
Draw Term Loan Ba3 BB 2.51% 07/25/14 271,442
5,706,603 CHS/Community Health Systems, Inc., Term Loan Ba3 BB 2.51%-2.62% 07/25/14 5,316,060
5,611,970 DaVita, Inc., Term Loan B-1 Ba1 BB+ 1.77%-2.10% 10/05/12 5,385,151
7,058,812 Fresenius Medical Care AG, Term Loan B Baa3 BBB- 1.89%-1.99% 03/31/13 6,802,930
1,950,000 Healthways, Inc., Term Loan B Ba2 BB 2.10% 12/01/13 1,794,000
See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (Continued)
AUGUST 31, 2009 (Unaudited)
Principal Ratings (c) Stated
Value Description Moody's S&P Rate Maturity (d) Value
--------------- ------------------------------------------------ ---------------- ----------- ------------ ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued)
Health Care Services - (Continued)
$ 1,447,625 Quintiles Transnational Corp., Term Loan B,
First Lien B1 BB 2.26%-2.60% 03/31/13 $ 1,358,354
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20,927,937
----------------
Homebuilding - 0.2%
974,811 Mattamy Funding Partnership, Term Loan NR(f) NR(f) 2.63% 04/11/13 779,849
----------------
Independent Power Producers & Energy
Traders - 2.0%
4,424,265 Dynegy Holdings, Inc., Synthetic Letter of
Credit Ba2 BB- 4.02% 04/02/13 4,251,718
3,423,864 Texas Competitive Electric Holdings Company,
LLC, Initial Term Loan B-3 B2 B+ 3.78%-3.79% 10/10/14 2,591,132
----------------
6,842,850
----------------
Industrial Conglomerates - 0.1%
408,759 Mueller Water Products, Inc., Term Loan B B1 BB- 5.99%-6.10% 05/24/14 386,278
----------------
Insurance Brokers - 0.2%
793,107 HealthCare Partners, LLC, Term Loan Ba2 BBB- 2.01% 10/31/13 751,469
----------------
Integrated Telecommunication Services - 3.1%
1,604,705 Intelsat Corp., Term Loan B-2-A B1 BB- 2.78% 07/03/13 1,518,452
1,604,216 Intelsat Corp., Term Loan B-2-B B1 BB- 2.78% 07/03/13 1,517,990
1,604,216 Intelsat Corp., Term Loan B-2-C B1 BB- 2.78% 07/03/13 1,517,990
1,500,000 NTELOS, Inc., Term Loan Ba3 BB- 5.75% 08/07/15 1,496,250
353,452 Telesat Canada, U.S. Delayed Draw Term Loan II B1 BB- 3.27% 10/31/14 337,923
4,115,265 Telesat Canada, U.S. Term Loan I B1 BB- 3.27% 10/31/14 3,934,457
----------------
10,323,062
----------------
Internet Retail - 0.6%
2,429,519 Sabre Holdings Corp., Term Loan B1 B 2.53%-2.74% 09/30/14 1,986,999
----------------
Investment Banking & Brokerage - 1.0%
3,534,394 Ameritrade Holding Corporation, Term Loan B Baa2 BBB+ 1.77% 12/31/12 3,445,150
----------------
IT Consulting & Other Services - 2.6%
2,042,477 Alion Science and Technology Corp., Term Loan B1 B+ 9.50% 02/06/13 1,756,530
493,977 Apptis (DE), Inc., Term Loan B1 B+ 3.52%-3.85% 12/20/12 390,241
1,232,580 CACI International, Inc., Term Loan B Ba1 NR 1.78%-2.12% 05/03/11 1,203,307
5,850,338 West Corporation, Term Loan B-2 B1 BB- 2.64%-2.65% 10/24/13 5,547,372
----------------
8,897,450
----------------
Leisure Facilities - 1.4%
3,235,947 Cedar Fair, L.P., U.S. Term Loan Ba3 BB- 2.26% 08/30/12 3,100,442
776,388 London Area and Waterfront Finance, LLC,
Term Loan A NR(f) NR(f) 2.89% 03/08/12 659,930
977,500 Town Sports International, LLC, Term Loan B Ba2 BB- 2.06% 02/27/14 830,875
----------------
4,591,247
----------------
Leisure Products - 0.5%
1,766,855 LodgeNet Entertainment Corp., Term Loan B3 B- 2.27%-2.60% 04/04/14 1,510,661
----------------
Life & Health Insurance - 1.8%
824,801 Conseco, Inc., Term Loan Caa1 CCC 6.50% 10/10/13 626,849
3,965,779 Multiplan Merger Corporation, Term Loan B1 B+ 2.81% 04/12/13 3,747,661
411,833 Multiplan Merger Corporation, Term Loan C B1 B+ 2.81% 04/12/13 389,182
1,215,550 Viant Holdings, Inc., Term Loan Ba3 B+ 2.85% 06/25/14 1,179,083
----------------
5,942,775
----------------
Managed Health Care - 2.2%
1,182,104 IASIS Healthcare Corporation, Delayed Draw
Term Loan Ba2 B+ 2.26% 03/15/14 1,114,133
318,412 IASIS Healthcare Corporation, Synthetic
Letter of Credit Ba2 B+ 2.26% 03/15/14 300,103
3,415,944 IASIS Healthcare Corporation, Term Loan Ba2 B+ 2.26% 03/15/14 3,219,527
2,899,414 Vanguard Health Systems, Inc., Term Loan B Ba3 B+ 2.51% 09/23/11 2,822,095
----------------
7,455,858
----------------
See Notes to Quarterly Portfolio of Investments Page 4
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (Continued)
AUGUST 31, 2009 (Unaudited)
Principal Ratings (c) Stated
Value Description Moody's S&P Rate Maturity (d) Value
--------------- ------------------------------------------------ ---------------- ----------- ------------ ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued)
Metal & Glass Containers - 2.1%
$ 7,181,250 Owens-Illinois Group, Inc., Term Loan B Baa3 BBB- 1.77% 06/14/13 $ 7,013,690
----------------
Mortgage REITs - 0.8%
2,761,818 LNR Property Corporation, Initial Term Loan,
Tranche B B2 B- 3.78% 07/12/11 1,722,684
1,657,500 LNR Property Corporation, Term Loan, Tranche
A-1 B2 B- 3.78% 07/12/10 1,029,722
----------------
2,752,406
----------------
Movies & Entertainment - 4.0%
4,728,500 AMC Entertainment, Inc., Term Loan Ba2 BB- 1.76% 01/26/13 4,490,387
55,118 Deluxe Entertainment Services Group, Inc.,
Credit Linked Term Loan A Ba3 B- 2.85% 05/11/13 49,055
969,609 Deluxe Entertainment Services Group, Inc.,
Term Loan, Tranche B Ba3 B- 2.51%-2.85% 05/11/13 862,952
98,108 Deluxe Entertainment Services Group, Inc.,
Term Loan, Tranche C Ba3 B- 2.85% 05/11/13 87,316
2,391,507 Discovery Communications Holding, LLC, Term
Loan B Baa3 NR(f) 2.60% 05/14/14 2,320,759
2,244,375 Discovery Communications Holding, LLC, Term
Loan C Baa3 NR(f) 5.25% 05/14/14 2,268,688
2,000,000 National CineMedia, LLC, Term Loan B Ba3 B+ 2.38% 02/13/15 1,873,000
1,521,100 Regal Cinemas Corporation, Term Loan B Ba2 BB- 4.35% 10/27/13 1,507,790
----------------
13,459,947
----------------
Multi-Utilities - 1.4%
2,510,637 KGEN, LLC, Synthetic Letter of Credit B1 BB 2.38% 02/08/14 2,297,233
2,454,786 KGEN, LLC, Term Loan B B1 BB 2.06% 02/08/14 2,246,129
----------------
4,543,362
----------------
Office REITs - 0.1%
1,000,000 Tishman Speyer Real Estate D.C. Area
Portfolio, L.P., Term Loan (l) WR D 4.00% 12/27/12 397,500
----------------
Office Services & Supplies - 1.5%
2,742,219 Emdeon Business Services, LLC, Term Loan,
First Lien B1 BB- 2.27%-2.60% 11/16/13 2,642,813
1,193,791 Pike Electric, Inc., Term Loan B NR(f) NR(f) 1.81% 07/01/12 1,122,163
1,349,428 Pike Electric, Inc., Term Loan C NR(f) NR(f) 1.81% 12/10/12 1,268,463
----------------
5,033,439
----------------
Oil & Gas Equipment & Services - 1.6%
1,969,849 Hercules Offshore, Inc., Term Loan B2 B+ 8.50%-8.75% 07/11/13 1,812,261
1,354,839 Targa Resources, Inc., Synthetic Letter of
Credit Ba3 B+ 2.60% 10/31/12 1,327,177
2,329,984 Targa Resources, Inc., Term Loan Ba3 B+ 2.26%-2.60% 10/31/12 2,282,413
----------------
5,421,851
----------------
Oil & Gas Exploration & Production - 0.9%
2,205,000 ATP Oil & Gas Corporation, Term Loan,
Tranche B1 NR NR 8.50% 07/15/14 1,800,383
579,726 ATP Oil & Gas Corporation, Term Loan, Tranche B2 NR NR 9.00% 01/15/11 473,347
992,087 SemCrude, L.P., Term Loan (i) (j) NR NR 5.75% 03/16/11 636,590
----------------
2,910,320
----------------
Oil & Gas Refining & Marketing - 0.5%
107,778 Alon USA, Inc., Term Loan (Edgington
Facility) B1 BB 2.51% 06/22/13 87,839
862,222 Alon USA, Inc., Term Loan (Paramount
Facility) B1 BB 2.51% 06/22/13 702,711
114,943 Calumet Lubricants Co., L.P., Synthetic
Letter of Credit B1 B 4.43% 01/03/15 101,149
857,839 Calumet Lubricants Co., L.P., Term Loan B1 B 4.31%-4.43% 01/03/15 754,899
----------------
1,646,598
----------------
Oil & Gas Storage & Transportation - 2.0%
3,000,000 Energy Transfer Equity, L.P., Term Loan B Ba2 NR 2.21% 11/01/12 2,905,713
3,960,000 Enterprise GP Holdings, L.P., Term Loan B Ba2 BB- 2.53%-2.78% 11/08/14 3,865,950
----------------
6,771,663
----------------
Other Diversified Financial Services - 1.8%
6,281,210 Royalty Pharma Finance Trust, Term Loan Baa2 BBB- 2.85% 04/16/13 6,147,734
----------------
Packaged Foods & Meats - 0.4%
1,468,671 Weight Watchers International, Inc., Term
Loan B Ba1 BB+ 1.81%-2.13% 01/26/14 1,400,745
----------------
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (Continued)
AUGUST 31, 2009 (Unaudited)
Principal Ratings (c) Stated
Value Description Moody's S&P Rate Maturity (d) Value
--------------- ------------------------------------------------ ---------------- ----------- ------------ ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued)
Paper Packaging - 4.1%
$ 2,940,397 Graham Packaging Holdings Co., Term Loan B,
First Lien B1 B+ 2.56% 10/07/11 $ 2,859,536
3,792,509 Graphic Packaging International, Inc., Term
Loan B Ba3 BB- 2.33%-2.60% 05/16/14 3,651,048
1,887,648 Pregis Corporation, Term Loan B-1 Ba3 BB- 2.51% 10/12/12 1,510,118
852,751 Smurfit-Stone Container Enterprises, Inc.,
Canadian Revolving Credit Facility (i) WR D 2.50%-5.00% 11/01/09 812,245
516,062 Smurfit-Stone Container Enterprises, Inc.,
Synthetic Letter of Credit (i) WR D 4.50% 11/01/10 490,904
587,292 Smurfit-Stone Container Enterprises, Inc.,
Term Loan B (i) WR D 2.57% 11/01/11 558,661
1,106,950 Smurfit-Stone Container Enterprises, Inc.,
Term Loan C (i) WR D 2.57% 11/01/11 1,052,525
334,679 Smurfit-Stone Container Enterprises, Inc.,
Term Loan C1 (i) WR D 2.57% 11/01/11 318,224
2,571,085 Smurfit-Stone Container Enterprises, Inc.,
U.S. Revolving Credit Facility (i) WR D 2.50%-4.50% 11/01/09 2,448,959
----------------
13,702,220
----------------
Paper Products - 1.6%
3,480,000 Appleton Papers, Inc., Term Loan B, First
Lien Ba3 B+ 6.50% 06/05/13 3,045,000
2,280,000 Domtar Corporation, Term Loan B Baa3 BBB- 1.65% 03/07/14 2,164,101
----------------
5,209,101
----------------
Pharmaceuticals - 3.1%
4,904,925 Catalent Pharma Solutions, Inc., Dollar Term
Loan Ba3 BB- 2.51% 04/10/14 4,264,832
3,346,518 Graceway Pharmaceuticals, LLC, Term Loan,
First Lien Ba3 BB 3.01% 05/03/12 2,677,215
3,500,000 Mylan, Inc., Term Loan B Ba3 BB 3.56%-3.88% 10/02/14 3,393,807
----------------
10,335,854
----------------
Publishing - 2.7%
151,011 Cenveo Corporation, Delayed Draw Term Loan Ba3 BB- 5.11% 06/21/13 146,104
4,039,153 Cenveo Corporation, Term Loan C Ba3 BB- 5.11% 06/21/13 3,907,881
1,494,565 GateHouse Media, Inc., Delayed Draw Term Loan B Caa1 CCC 2.27%-2.28% 08/28/14 389,334
4,005,435 GateHouse Media, Inc., Initial Term Loan Caa1 CCC 2.27% 08/28/14 1,043,416
2,872,769 Media News Group, Inc., Term Loan B (k) WR NR 6.76% 12/30/10 545,826
1,442,050 Media News Group, Inc., Term Loan C (k) WR NR 6.76% 12/30/10 273,990
3,912,500 Tribune Company, Term Loan B (i) (j) WR NR 5.25% 05/19/14 1,638,359
731,429 Tribune Company, Term Loan X (i) (j) WR NR 5.00% 05/18/09 299,276
1,000,000 Yell Group, PLC, Term Loan B1 B2 B 3.26% 10/27/12 675,833
----------------
8,920,019
----------------
Residential REITs - 0.0%
87,500 Apartment Investment Management Co., Term Loan Ba1 BB+ 1.77% 03/22/11 84,000
----------------
Retail REITs - 2.1%
6,046,709 Capital Automotive, L.P., Term Loan Ba1 B 2.04% 12/16/10 5,033,885
1,394,737 General Growth Properties, Inc., Term Loan
A-1 (i) (j) C D 5.25% 02/24/10 887,401
1,077,778 The Macerich Partnership, L.P., Term Loan NR(f) NR(f) 1.81% 04/26/10 1,007,722
----------------
6,929,008
----------------
Semiconductors - 1.8%
8,230,429 Freescale Semiconductors, Inc., Term Loan,
First Lien B2 B- 2.03% 12/01/13 6,141,957
----------------
Specialized Consumer Services - 3.4%
970,000 Acosta, Inc., Term Loan NR(f) NR(f) 2.54% 07/28/13 917,863
903,116 Advantage Sales & Marketing, Inc., Term Loan NR(f) NR(f) 2.27%-2.28% 03/29/13 858,524
2,280,515 Affinion Group, Inc., Term Loan B Ba2 BB 2.76% 10/17/12 2,170,457
256,221 ARAMARK Corporation, Prefunded Synthetic
Letter of Credit Ba3 BB 2.25% 01/26/14 239,765
4,034,490 ARAMARK Corporation, Term Loan Ba3 BB 2.47% 01/26/14 3,775,375
1,000,000 Asurion Corp., Term Loan, First Lien NR(f) NR(f) 3.28% 07/03/14 953,564
944,361 N.E.W. Holdings I, LLC, Term Loan, First Lien NR(f) NR(f) 2.76%-2.78% 05/22/14 881,797
1,719,064 Nielsen Finance, LLC, Dollar Term Loan Ba3 B+ 2.28% 08/09/13 1,600,162
----------------
11,397,507
----------------
See Notes to Quarterly Portfolio of Investments Page 6
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (Continued)
AUGUST 31, 2009 (Unaudited)
Principal Ratings (c) Stated
Value Description Moody's S&P Rate Maturity (d) Value
--------------- ------------------------------------------------ ---------------- ----------- ------------ ----------------
SENIOR FLOATING-RATE LOAN INTERESTS (e) - (Continued)
Specialty Chemicals - 1.8%
$ 2,000,000 Celanese Holdings, LLC, Synthetic Letter of
Credit Ba2 BB+ 2.03% 04/02/14 $ 1,905,312
4,406,137 Celanese Holdings, LLC, Term Loan, First Lien Ba2 BB+ 2.35% 04/02/14 4,197,533
----------------
6,102,845
----------------
Specialty Stores - 2.4%
1,185,188 Dollarama Group, L.P., Replacement Term Loan B Ba1 BB- 2.24% 11/18/11 1,170,373
3,960,319 Harbor Freight Tools USA, Inc., Term Loan C NR(f) NR(f) 9.75% 02/12/13 3,900,915
3,060,609 The Yankee Candle Company, Inc., Term Loan Ba3 BB- 2.27% 02/06/14 2,838,715
----------------
7,910,003
----------------
Systems Software - 3.8%
4,377,398 Dealer Computer Services, Inc., Term Loan,
First Lien Ba2 BB 2.26% 10/26/12 3,791,921
3,884,107 Intergraph Corporation, Term Loan, First Lien Ba3 BB- 2.37% 05/29/14 3,728,743
1,039,633 Open Solutions, Inc., Term Loan, First Lien B1 BB- 2.63% 01/23/14 857,697
4,681,130 SunGard Data Systems, Inc., Term Loan B Ba3 BB 2.03% 02/28/14 4,383,878
----------------
12,762,239
----------------
Technology Distributors - 1.3%
1,764,000 H3C Holdings, Ltd., Term Loan B Ba2 BB+ 4.79% 09/28/12 1,543,500
3,469,673 Sensata Technologies Finance Company, LLC,
Term Loan, First Lien B3 B 2.09%-2.25% 04/27/13 2,833,567
----------------
4,377,067
----------------
Trucking - 2.1%
556,863 The Hertz Corporation, Prefunded Synthetic
Letter of Credit Ba1 BB- 2.36% 12/21/12 528,622
3,763,698 The Hertz Corporation, Term Loan B Ba1 BB- 2.02%-2.07% 12/21/12 3,572,826
2,899,288 OshKosh Corporation, Term Loan B B2 BB- 6.60%-6.64% 12/06/13 2,885,699
----------------
6,987,147
----------------
Wireless Telecommunication Services - 1.0%
1,220,477 Clearwire Corporation, Delayed Draw Term
Loan, First Lien B3 B+ 9.25% 07/03/12 1,121,008
745,325 Clearwire Corporation, Term Loan, First Lien B3 B+ 9.25% 07/03/12 684,581
1,525,773 Crown Castle Operating Company, Term Loan,
First Lien Ba3 BB 1.76% 03/06/14 1,446,148
----------------
3,251,737
----------------
Total Senior Floating-Rate Loan Interests 437,211,775
(Cost $484,088,260) ----------------
SENIOR FLOATING-RATE NOTES - 0.1%
Semiconductors - 0.1%
650,000 NXP B.V. C CC 3.26% 10/15/13 405,437
----------------
Leisure Facilities - 0.0%
1,225,000 HRP Myrtle Beach (i) (j) (m) (o) WR NR 8.00% 04/01/12 0
----------------
Total Senior Floating-Rate Notes 405,437
(Cost $1,876,174) ----------------
NOTES - 0.0%
Homebuilding - 0.0%
727,273 TOUSA, Inc. (Payment-In-Kind Election Note)
(i) (m) (n) (o) NR NR 14.75% 07/01/15 0
----------------
Total Notes 0
(Cost $436,364) ----------------
Shares Description Value
---------------- ---------------------------------------------- ----------------
PREFERRED STOCKS - 0.0%
Homebuilding - 0.0%
4,273 TOUSA, Inc. (8.0%, Series A Convertible Payment-In-Kind Preferred Stock) (i) (j) (m) (o) 0
----------------
Total Preferred Stocks 0
(Cost $2,563,636) ----------------
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (Continued)
AUGUST 31, 2009 (Unaudited)
Shares Description Value
---------------- ---------------------------------------------- ----------------
WARRANTS - 0.0%
Broadcasting - 0.0%
1,449 Cumulus Media, Inc. (m) $ 319
----------------
Total Warrants 319
(Cost $0) ----------------
Total Investments - 130.9% 437,617,531
(Cost $488,964,434) (p)
Net Other Assets and Liabilities - 0.8% 2,541,723
Outstanding Loan - (7.8)% (26,000,000)
Auction Market Preferred Shares, at Liquidation Value (including accrued
distributions) (q) - (23.9)% (80,020,134)
----------------
Net Assets (Applicable to Common Shares) - 100.0% $ 334,139,120
================
___________________________________________________
(a) All percentages shown in the Portfolio of Investments are based on net
assets applicable to Common Shares.
(b) All or a portion of the investments are available to serve as collateral on
the outstanding loan.
(c) Ratings below Baa3 by Moody's Investors Service, Inc. ("Moody's") or BBB- by
Standard & Poor's Ratings Group ("S&P") are considered to be below
investment grade.
(d) Senior Loans generally are subject to mandatory and/or optional prepayment.
As a result, the actual remaining maturity of Senior Loans may be
substantially less than the stated maturities shown.
(e) Senior Loans in which the Fund invests generally pay interest at rates which
are periodically predetermined by reference to a base lending rate plus a
premium. These base lending rates are generally (i) the lending rate offered
by one or more major European banks, such as the London Interbank Offered
Rate ("LIBOR"), (ii) the prime rate offered by one or more United States
banks or (iii) the certificate of deposit rate.
(f) This Senior Loan Interest was privately rated upon issuance. The rating
agency does not provide ongoing surveillance on the rating.
(g) This DIP facility is partially drawn per Debtor-In-Possession Credit
Agreement dated March 3, 2009.
(h) Represents commitment fee rate on unfunded loan commitments.
(i) This borrower has filed for protection in federal bankruptcy court.
(j) Non-income producing investment.
(k) This issuer is in default, but interest is still being accrued by the Fund
and paid by the issuer.
(l) This issuer is in default and interest is not being accrued by the Fund nor
paid by the issuer.
(m) This investment is restricted and cannot be offered for public sale without
first being registered under the Securities Act of 1933, as amended. Prior
to registration, restricted investments may only be resold in transactions
exempt from registration (See Note 1F - Restricted Investments in the Notes
to Quarterly Portfolio of Investments).
(n) This investment is a Senior Subordinated Payment-in-Kind Election Note
whereby 1.00% of interest per annum is to be paid in cash and 13.75% of
interest per annum is to be paid by the issuer, at its option (i) entirely
in cash, (ii) entirely in Payment-in-Kind interest or (iii) in a combination
of (i) and (ii). Interest is to be paid semi-annually; however, the issuer
is in default and income is not being accrued.
(o) This investment is fair valued in accordance with valuation procedures
adopted by the Fund's Board of Trustees.
(p) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of August 31, 2009, the
aggregate gross unrealized appreciation for all investments in which there
was an excess of value over tax cost was $568,727 and the aggregate gross
unrealized depreciation for all investments in which there was an excess of
tax cost over value was $51,915,630.
(q) On August 28, 2009, the Fund commenced a tender offer for up to 100% of its
outstanding Auction Market Preferred Shares, Series A and Auction Market
Preferred Shares, Series B (collectively, the "AMP Shares") at a purchase
price equal to 97% of the liquidation preference of $25,000 per AMP Share,
plus any unpaid dividends accrued through the expiration date of the offer.
On September 14, 2009, the Fund increased the purchase price to 100% of the
liquidation preference per AMP Share ($25,000 per AMP Share), plus any
unpaid dividends accrued through the expiration date of the offer. As of the
expiration of the tender offer at 5:00 p.m., Eastern time, on September 28,
2009, 1,509 of the 1,600 outstanding Series A AMP Shares and 1,549 of the
1,600 outstanding Series B AMP Shares were validly tendered in the offer.
The Fund paid the purchase price for such validly tendered AMP Shares by
depositing the purchase price with the depositary for the offer, Deutsche
Bank Trust Company Americas. Thereafter, on October 12, 2009, First Trust
Advisors, L.P., the Fund's investment advisor, announced that the Fund
intends to redeem its remaining AMP Shares in the principal amounts of
$2,275,000 Series A AMP Shares and $1,275,000 Series B AMP Shares. The Fund
expects to effect such redemption of its AMP Shares on November 18, 2009,
subject to satisfying the notice and other requirements that apply to
redemption. The Fund will not have outstanding any auction rate securities
following this redemption of the AMP Shares.
NR Not rated.
WR Withdrawn rating.
See Notes to Quarterly Portfolio of Investments Page 8
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
PORTFOLIO OF INVESTMENTS (a) (b) (Continued)
AUGUST 31, 2009 (Unaudited)
________________________________
Valuation Inputs
A summary of the inputs used to value the Fund's investments as of August 31,
2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to
Quarterly Portfolio of Investments):
Level 2 Level 3
Total Level 1 Significant Significant
Market Value Quoted Observable Unobservable
Valuation Inputs at 08/31/2009 Price Input Input
-------------------- ------------- ------------ -------------- --------------
Senior Floating-Rate
Loan Interests $ 437,211,775 $ - $ 437,211,775 $ -
Senior Floating-Rate
Notes 405,437 - 405,437 -
Notes - - - -
Preferred Stocks - - - -
Warrants 319 - 319 -
-------------- ---------- -------------- --------------
Total Investments $ 437,617,531 $ - $ 437,617,531 $ -
============== ========== ============== ==============
See Notes to Quarterly Portfolio of Investments Page 9
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2009 (Unaudited)
1. VALUATION AND INVESTMENT PRACTICES
A. Portfolio Valuation:
The net asset value ("NAV") of the Common Shares of First Trust/Four Corners
Senior Floating Rate Income Fund II (the "Fund") is determined daily as of the
close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00
p.m. Eastern time, on each day the NYSE is open for trading. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Common Share
is calculated by dividing the value of all assets of the Fund (including accrued
interest), less all liabilities (including accrued expenses, dividends declared
but unpaid and any borrowings of the Fund) and the liquidation value of any
outstanding Preferred Shares, by the total number of Common Shares outstanding.
The Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio investments, at fair value according
to valuation procedures adopted by the Fund's Board of Trustees. A majority of
the Fund's assets are valued using market information supplied by third parties.
In the event that market quotations are not readily available, the pricing
service does not provide a valuation for a particular asset, or the valuations
are deemed unreliable, the Fund's Board of Trustees has designated First Trust
Advisors L.P. ("First Trust") to use a fair value method to value the Fund's
investments. Additionally, if events occur after the close of the principal
market for particular securities (e.g., domestic debt and foreign securities),
but before the Fund values its assets, that could materially affect NAV, First
Trust may use a fair value method to value the Fund's investments. The use of
fair value pricing by the Fund is governed by valuation procedures adopted by
the Fund's Board of Trustees, and in accordance with the provisions of the
Investment Company Act of 1940, as amended ("1940 Act").
The Senior Floating-Rate Loans ("Senior Loans") in which the Fund invests are
not listed on any securities exchange or board of trade. Senior Loans are
typically bought and sold by institutional investors in individually negotiated
private transactions that function in many respects like an over-the-counter
secondary market, although typically no formal market-makers exist. This market,
while having grown substantially in the past several years, generally has fewer
trades and less liquidity than the secondary market for other types of
securities. Some Senior Loans have few or no trades, or trade infrequently, and
information regarding a specific Senior Loan may not be widely available or may
be incomplete. Accordingly, determinations of the market value of Senior Loans
may be based on infrequent and dated information. Because there is less
reliable, objective data available, elements of judgment may play a greater role
in valuation of Senior Loans than for other types of securities. Typically,
Senior Loans are valued using information provided by a third party pricing
service. If the pricing service cannot or does not provide a valuation for a
particular Senior Loan or such valuation is deemed unreliable, First Trust may
value such Senior Loan at a fair value according to valuation procedures adopted
by the Fund's Board of Trustees, and in accordance with the provisions of the
1940 Act.
Portfolio investments listed on any exchange other than the NASDAQ National
Market ("NASDAQ") are valued at the last sale price on the business day as of
which such value is being determined. If there has been no sale on such day, the
investments are valued at the mean of the most recent bid and asked prices on
such day. Investments traded on the NASDAQ are valued at the NASDAQ Official
Closing Price as determined by NASDAQ. Portfolio investments traded on more than
one securities exchange are valued at the last sale price on the business day as
of which such value is being determined at the close of the exchange
representing the principal market for such investments. Portfolio investments
traded in the over-the-counter market, but excluding investments traded on the
NASDAQ, are valued at the closing bid prices. Short-term investments that mature
in less than 60 days when purchased are valued at amortized cost.
In September 2006, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards No. 157, "Fair Value Measurements"
("FAS 157"), effective for fiscal years beginning after November 15, 2007. This
standard clarifies the definition of fair value for financial reporting,
establishes a framework for measuring fair value and requires additional
disclosures about the use of fair value measurements. The three levels of the
fair value hierarchy under FAS 157 are as follows:
o Level 1 - quoted prices in active markets for identical investments
o Level 2 - other significant observable inputs (including quoted
prices for similar investments, interest rates, prepayment
speeds, credit risk, etc.)
o Level 3 - significant unobservable inputs (including the Fund's
own assumptions in determining the fair value of investments)
Page 10
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (Continued)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2009 (Unaudited)
In April 2009, the FASB issued FASB Staff Position No. 157-4, "Determining Fair
Value when the Volume and Level of Activity for the Asset or Liability Have
Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP
157-4"). FSP 157-4 is effective for fiscal years and interim periods ending
after June 15, 2009. FSP 157-4 provides additional guidance for estimating fair
value in accordance with FAS 157, when the volume and level of activity for the
asset or liability have significantly decreased. FSP 157-4 also includes
guidance on identifying circumstances that indicate a transaction is not
orderly. FSP 157-4 requires entities to describe the inputs used in valuation
techniques used to measure fair value and changes in inputs over the period. FSP
157-4 expands the three-level hierarchy disclosure and the Level 3 roll-forward
disclosure for each major security type.
The inputs or methodology used for valuing investments are not necessarily an
indication of the risks associated with investing in those investments. A
summary of the inputs used to value the Fund's investments as of August 31, 2009
is included with the Fund's Portfolio of Investments.
B. Credit Default Swaps:
The Fund may enter into credit default swap contracts for hedging purposes or to
gain exposure to a credit in which the Fund may otherwise invest. A credit
default swap contract is an agreement between two parties to exchange the credit
risk of an issuer. The Fund may be either the buyer or seller in a credit
default swap transaction. The "buyer" in a credit default swap contract is
obligated to pay the "seller" a periodic stream of payments over the term of the
contract provided that no event of default on the underlying reference
obligation has occurred. If an event of default occurs, the seller must pay the
buyer the full notional value, or "par value," of the reference obligation.
Credit default swap transactions are either "physical delivery" settled or
"cash" settled. Physical delivery entails the actual delivery of the reference
asset to the seller in exchange for payment of the full par value of the
reference asset. Cash settled entails a net cash payment from the seller to the
buyer based on the difference of the par value of the reference asset and the
current value of the reference asset that may have, through default, lost some,
most or all of its value. An event of default may be a grace period extension,
obligation acceleration, repudiation/moratorium, or restructuring.
Buying a credit default swap contract involves the risk that the contract may
expire worthless and the credit risk that the seller may fail to satisfy its
payment obligations to the Fund in the event of default. Selling a credit
default swap contract involves greater risks than if the Fund had invested in
the reference obligation directly. The Fund will segregate cash or liquid assets
in an amount equal to the aggregate market value of the credit default swap
contracts of which it is a seller. Additionally, the Fund maintains cash or
liquid assets for the full notional amount of the credit default swap contracts
of which it is a seller. The Fund may only enter into such transactions with
counterparties rated A- or higher.
Credit default swap contracts are marked to market daily based upon quotations
from brokers or market makers and the change in value, if any, is recorded as
unrealized appreciation (depreciation). For a credit default swap contract sold
by the Fund, payment of the agreed-upon amount made by the Fund in the event of
default of the referenced debt obligation is recorded as the cost of the
referenced debt obligation purchased/received. As of August 31, 2009, the Fund
had no outstanding credit default swaps.
C. Repurchase Agreements:
The Fund engages in repurchase agreement transactions. Under the terms of a
typical repurchase agreement, the Fund takes possession of an underlying debt
obligation subject to an obligation of the seller to repurchase, and the Fund to
resell, the obligation at an agreed-upon price and time, thereby determining the
yield during the Fund's holding period.
This arrangement results in a fixed rate of return that is not subject to market
fluctuations during the Fund's holding period. The value of the collateral is at
all times at least equal to the total amount of the repurchase obligation,
including interest. In the event of counterparty default, the Fund has the right
to use the collateral to offset losses incurred. There is potential loss to the
Fund in the event the Fund is delayed or prevented from exercising its rights to
dispose of the collateral investments, including the risk of a possible decline
in the value of the underlying investments during the period while the Fund
seeks to assert its rights. The Fund reviews the value of the collateral and the
creditworthiness of those banks and dealers with which the Fund enters into
repurchase agreements to evaluate potential risks. As of August 31, 2009, the
Fund had no open repurchase agreements.
Page 11
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS (Continued)
FIRST TRUST/FOUR CORNERS SENIOR FLOATING RATE INCOME FUND II
AUGUST 31, 2009 (Unaudited)
D. Investment Transactions:
Investment transactions are recorded as of the trade date. Realized gains and
losses from investment transactions are recorded on the identified cost basis.
Investments purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such
investments is not accrued until settlement date. The Fund maintains liquid
assets with a current value at least equal to the amount of its when-issued or
delayed-delivery purchase commitments. As of August 31, 2009, the Fund had no
when-issued or delayed-delivery purchase commitments.
E. Unfunded Loan Commitments:
The Fund may enter into certain credit agreements, all or a portion of which may
be unfunded. The Fund had unfunded delayed draw loan commitments of
approximately $89,580 as of August 31, 2009. The Fund is obligated to fund these
loan commitments at the borrower's discretion.
F. Restricted Investments:
The Fund invests in restricted investments, which are investments that cannot be
offered for public sale without first being registered under the Securities Act
of 1933, as amended. Prior to registration, restricted investments may only be
resold in transactions exempt from registration. The Fund held restricted
investments at August 31, 2009 as shown in the following table. The Fund does
not have the right to demand that such investments be registered. These
investments are valued according to the valuation procedures as stated in the
Portfolio Valuation footnote (Note 1A) and are not expressed as a discount to
the carrying value of a comparable unrestricted investment. There are no
unrestricted investments with the same maturity dates and yields for these
issuers.
% of
Net Assets
Applicable
Acquisition Principal Value Current to Common
Security Date Value/Shares Per Share Carrying Cost Value Shares
------------------------------------------------------------------------------------------------------------------
Cumulus Media, Inc.-Warrants 6/29/09 1,449 0.22 $ - $ 319 0.00%
HRP Myrtle Beach 3/23/06 $ 1,225,000 - 1,225,000 - 0.00
TOUSA, Inc.-Notes 7/31/07(1) $ 727,273 - 436,364 - 0.00
TOUSA, Inc.-Preferred Stocks 7/31/07(1) 4,273 - 2,563,636 - 0.00
------------------------------------------
$ 4,225,000 $ 319 0.00%
==========================================
(1) Security was acquired through a restructuring that was effective on
July 31, 2007.
Page 12
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective, as of a date within 90 days of the filing
date of the report that includes the disclosure required by this
paragraph, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR
270.30a-3(d)) that occurred during the registrant's last fiscal quarter
that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) First Trust/Four Corners Senior Floating Rate Income Fund II
---------------------------------------------------------------
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
Date October 21, 2009
-----------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
By (Signature and Title)* /s/ James A. Bowen
--------------------------------------------------
James A. Bowen, Chairman of the Board, President
and Chief Executive Officer
(principal executive officer)
Date October 21, 2009
----------------------------
By (Signature and Title)* /s/ Mark R. Bradley
--------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief
Financial Officer and Chief Accounting Officer
(principal financial officer)
Date October 21, 2009
----------------------------
* Print the name and title of each signing officer under his or her
signature.